400 Howard Street
San Francisco, CA 94105
United States
BlackRock, Inc.
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Electronic trading, liquidity, execution costs, return dynamics
Russell Index, reconstitution, abnormal returns, price pressure effect, liquidity effect
Equity Investments, research sources, Portfolio Management, portfolio construction, rebalancing, and implementation
Fragmentation, Off-Market Trading, Transparency, Anonymity, Electronic Communication Networks
Corporate bonds, electronic trading, auction markets, over-the-counter (OTC) trading
knapsack algorithm, active management, manager selection, information ratio, mean-variance optimization
Fragmentation, upstairs trading, crossing networks, liquidity, cream skimming
IPO, underpricing, underwriting
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Transition management, portfolio transitions, transaction costs, capacity, implementation shortfall, expected trading costs, impact function, pre-trade expected costs, trade horizon, count data model
ETFs, Mutual Funds, Crowding, Factors
ETFs, Mutual Funds, Returns
Factors, Market-Capitalization Benchmarks, Factor Mimicking Portfolios
tail risk, portfolio construction, mean-variance optimization, conditional value at risk
ETFs, premiums, discounts, price discovery
Flash Crash, Market Microstructure, Fragmentation, ETF
Leveraged and inverse ETFs, market microstructure
Transaction costs, trading, alpha, portfolio management
Financial Markets: market structure, Portfolio Management: trading and execution, Corporate Finance
Exchange-Traded Funds, Leveraged ETF, Liquidity, Microstructure
